美国盈透证券：February Options Review

Offering increased flexibility (strike, duration, exercise style) and precision, options on futures allow market participants to bettercustomize their risk management strategies to their specific needs. Plus, with 50% of options traded electronically, these productsare more accessible than ever.

INTEREST RATES OPTIONS

Whether you trade on the floor or on the screen, CME Group Interest Rate options give you direct access to an array of products andan ever-expanding pool of liquidity — all in a streamlined and regulated marketplace. With the addition of Weekly Treasury options,the expansion of short dated Eurodollar Mid-Curve options and long-dated (Green) Eurodollar options, CME Group has significantlybroadened the range of Interest Rate option opportunities.

Over 1 Million Eurodollar Options Traded Daily

Eurodollar options traded 1,042,706 contracts per day,+47% YoY– Puts accounted for 68% of Eurodollar options volume

Open interest finished February at 29.5 million, +36% YoY–66% of open interest is held in Puts.

Mid-curve options represented 54% of the Eurodollar volume

Electronic ADV was up 102% YoY, to 127,669 contracts per day

Treasury Options Remain Steady

656,263 Treasury options traded daily, +3% YoY

Activity in 2-Year note options remained strong with ADV of 12,238, +128% YoY– 72% of 2-Year note volume was in calls

10-Year note options: 408,088 ADV, -6% YoY

5-Year note options: 91,233 ADV, +11% YoY

U.S. Treasury Bond: 62,941 ADV, +13% YoY

Weekly Treasury options: 81,189 ADV, +45% YoY

60% of Treasury Options Traded on CME Globex

2-Year: 82% | Up from 50% in Feb 2014

5-Year: 58% | Up from 51% in Feb 2014

10-Year: 58% | Up from 57% in Feb 2014

30-Year: 66% | Down from 69% in Feb 2014

Fed Funds Options Gaining Momentum Ahead of Key FOMC Meetings

Fed Funds Options represent a direct reflection of collective marketplace insight regarding the future course of FOMC monetary policy, and trading activity has surged in 2015:

Fed Funds Options traded over 34,000 contracts during the second week of February, compared to 25,533 contracts in all of 2014.

Fed Funds Options Q1 2015 ADV is 11 times Q1 2014 ADV.

July 2015 Options trading increased with strategies centeredaround a June rate hike – (i.e. July 99.625-99.750 put 1x2).

Puts accounted for 66% of Fed Funds Options volume

EQUITY INDEX OPTIONS

With over 550,000 contracts traded daily YTD, CME Group Equity Index options on futures provide you with flexible, liquid tools to manage global equity exposure and pursue opportunities represented by the world’s leading indexes, all from one marketplace. On the floor or on the screen, large-cap to small-cap, short-term weekly, end-of-month to quarterly expirations, our extensive selection of products provides the choices you need to execute a variety of trading strategies.

February Volume and Open Interest

E-mini S&P 500: 441,038 ADV, -6% YoY

– E-mini S&P 500 End-of-Month options: 57,192 ADV,+8% YoY

– Open Interest in Weekly E-mini S&P 500 options increased 37% YoY to over 523,000 contracts

S&P 500 options: 44,042 ADV, -2% YoY

– S&P 500 End-of-Month options: 4,108 ADV, +2% YoY

E-mini NASDAQ-100 options: 5,070 ADV, -70% YoY

Weekly Options Update

Weekly E-mini S&P 500 options: 105,398 ADV, +8% YoY

– 315,980 contracts traded on Feb 6 around unemployment report

– Weekly options represented 24% of the E-mini S&P 500 options volume in Feb

– 75% of Weekly E-mini S&P 500 options Open Interest is held in Puts

Weekly S&P 500 options: 4,737 ADV, -25% YoY

Trading Trends

Equity Index options: 62% Puts

E-mini NASDAQ-100 options: 72% Puts

S&P 500 options: 49% Puts

E-mini S&P 500 options: 63% Puts

34% of volume was done via spread

ENERGY OPTIONS

CME Group offers around-the-clock access to the world’s benchmark options products among Crude Oil, Natural Gas, and Refined Products. Our diverse options product slate provides the liquidity and open interest that traders need, with the flexibility to buy and sell American-Style, European-Style, Average Price, Calendar Spread, Short-Term, and Futures Strip options on three trading venues.

Electronic Trading Up 63 Percent

Energy options traded 315,467 contracts per day, -1% YoY

Electronic ADV increased 63% YoY to 133,740 contracts per day.

42% of volume traded electronically on CME Globex

Total open interest in Energy options reached 9.2 million at month-end, +5% YoY

Crude Oil Options

Crude Oil options traded 227,956 lots per day, +89% YoY.

WTI options: 225,212 ADV, +92% YoY

– 63% of the LO contract traded electronically on CME Globex

– Record LO electronic ADV: 121,940

WTI 1 Month CSO: 8,317 ADV, +64% YoY

WTI 1 Month CSO (Financial): 12,498 ADV, +218% YoY

– Puts accounted for 89% of CSO (Financial) volume

WTI Average Price options: 6,333 ADV, +183% YoY

Crude Oil options RFQ activity remained strong. cmegroup.com/RFQ

Weekly Options Continue to Gain Momentum

Weekly Crude Oil options traded 901 contracts per day

Offer precision to manage volatility arising from storage data, weather anomalies, and other macroeconomic factors, with the added benefit of shorter expirations to implement strategies at a lower premium.

Natural Gas Financial Weekly options (LN1 – LN5) launched September 8

Weekly Brent options (BW1 – BW5) launched on August 18

All NYMEX weekly options are available for trading on ClearPort, Globex, and open outcry

Natural Gas Options

Nat Gas options: 79,533 ADV, -58% YoY

Daily Natural Gas options (KD): 1,160 ADV, +91% YoY

12% of Natural Gas options were executed on CME Globex

Puts accounts for 60% of volume

Refined Product Options

ULSD Physical option (OH): 4,556 ADV, +33% YoY

ULSD Average Price option (AT): 812 ADV, +55% YoY

Record Refined Product options electronic ADV: 975

Coal Options

Coal options remained strong in Feb with ADV of 778, +87%YoY

Energy Options on CME Direct

CME Direct offers superior Energy options execution functionality

Participation continues to grow with strong Globex energy option volume through CME Direct in February

Learn more at cmegroup.com/direct

AGRICULTURE OPTIONS

The diverse selection of CME Group Agricultural options offers the flexibility for effective risk management, as well as the ability to execute volatility strategies or event driven trades. The portfolio of Grain, Oilseed, Livestock and Dairy products provide an array of options, from outright and spread options (Calendar and Intercommodity Spread options) to short term alternatives (Weekly and Short-Dated New Crop options).

Ag Options Continue to Outpace Futures

Agricultural options traded 231,966 contracts per day,+21% YoY

60% of Agricultural options were executed electronically on CME Globex

Options continued to outperform futures in February with YoY growth of +21%, while Futures were -6% YoY.

Grains & Oilseeds

Corn: 69,030 ADV, +5% YoY

Wheat (SRW): Chicago SRW Wheat: 22,943 ADV, +15% YoY

Wheat (HRW): 2,802 ADV, +748% YoY

Soybeans: 80,144 ADV, +49% YoY

Soybean Meal: 11,557 ADV, +15% YoY

Soybean Oil: 6,865 ADV, -7%

Short-Dated New Crop Meal and Oil options launched on Feb 23

Short-Dated New Crop options: 4,163 ADV, +48% YoY

– Streaming 100 up, tight markets on Globex for Sorn and Soybean SDNC

Weekly Options: 2,430 ADV, +153% YoY

Lean Hogs volatility hits 10-year high of 42.5%

Live Cattle options: 13,994 ADV, +23% YoY

Lean Hog options: 12,737 ADV, -5% YoY

Feeder Cattle options: 1,548 ADV, +80% YoY

Dairy

Class III Milk options: 1,683 ADV, 24% YoY

– Calls accounted for 66% of Milk options volume

Cheese CSC options: 304 ADV, +131%

Trading Trends

Puts accounted for 53% of February volume

– Soybeans: 60% Puts

– Feeder Cattle: 58% Puts

– Corn: 49% Puts

– Wheat: 50/50 Puts vs Calls

FX OPTIONS

Trade FX options in the world’s premier FX marketplace. CME Group’s flexible products on major and emerging-market currencies provide greater capital efficiency, security, and unparalleled opportunity for managing FX exposure. That includes 31 FX options based on 22 currencies, offering enhanced trading versatility and the security of one of the world’s largest central counterparty (CCP) clearinghouses to mitigate counterparty risk.

Volatility Continues to Drive Growth in FX Options Strong

FX options traded 74,969 contracts per day, +23% YoY

Record 96.6% of FX options traded electronically on CME Globex

FX options open Interest jumped to 932,047 contracts,+23% YoY

G10 Options +23% YoY

EUR/USD options: 39,653 ADV, +85% YoY

JPY/USD options: 10,437 ADV, +13% YoY

GBP/USD options: 12,003 ADV, +11% MoM, -31% YoY

CAD/USD options: 5,998 ADV, +20% YoY

AUD/USD options: 5,853 ADV, -13% YoY

Weekly Euro options Remain Strong

EUR weekly: 7,109 ADV, +119% YoY

GBP weekly: 2,396 ADV, +108% MoM, -63% YoY

JPY weekly: 1,337 ADV, -4% YoY

CAD weekly: 1,539 ADV, +87% YoY

Trading Trends

EUR/USD: 57% Puts

GBP/USD: 56% Puts

JPY/USD: 57% Puts

CAD/USD: 50/50 Puts v Calls

AUD/USD: 59% Puts

METALS OPTIONS

The CME Group COMEX and NYMEX metals options suite gives market participant’s access to Short-Term Gold Options as well monthly Gold, Silver, Platinum, Palladium, Iron Ore, and Copper Options. All of our products are traded on three venues — CME Globex, CME ClearPort, and the New York trading floor, allowing for maximum access to liquidity for investors whenever they need it.

Overview

Metals options: 31,030 ADV, -36% YoY

66% of Metals options traded electronically on CME Globex

Total open interest in Metal options was 1,621,582 at month-end

Precious Metals

Gold options: 25,029 ADV, -33% YoY

– Open interest for gold options is split 78:22 (calls vs puts)

Silver options: 5,068 ADV, -48% YoY

– Open interest for Silver options is split 59:41 (calls vs puts)

Platinum options: 389 ADV, +17% YoY

– Calls accounted for 90% of Platinum options volume

Base Metals

Iron Ore options: 142 ADV, Flat YoY,

Copper options: 180 ADV, +129% YoY

Weekly Metals Options

Weekly Gold options traded 100 lots per day

Offer greater flexibility to manage the risk associated with government economic data, world events and other market-moving factors, with the added benefit of shorter expirations to gain market exposure at a lower premium.

Available for Gold, Silver, and Copper options

THREE WAYS TO ACCESS

On CME Globex

The recent growth of electronic options markets has led to deeper, more diverse markets with easier entry and exit points, and more streamlined access for execution and clearing.

1,443,517 in daily liquidity

Speed, transparency, access and liquidity of electronically traded markets

Two-sided markets supported by dedicated market makers

Request for Quote (RFQ) – Allows participants to get competitive quotes, even during times of low market activity.

CME Direct’s complex options functionality allows you to send Request for Quotes on CME Globex.

On the Floor

1,247,582 in daily liquidity

Quick setup and nearly instant access to liquidity

Voice brokers and floor traders facilitate price discovery and efficient execution on your behalf

Bilaterally

289,022 in daily liquidity

Control and convenience of privately negotiated trades